Semiparametric tests for change-points with epidemic alternatives

被引：8
|
作者：
Guan, Zhong [1 ]
机构：
[1] Indiana Univ, Dept Math Sci, South Bend, IN 46634 USA
来源：
JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2007年 / 137卷 / 06期
关键词：
empirical likelihood; epidemic alternative; exponential family; Kuiper's statistics logistic regression; profile likelihood; semiparametric change-point model; Watson's statistic;
D O I：
10.1016/j.jspi.2006.05.006
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
The empirical likelihood ratio-based semiparametric tests of change-points with epidemic alternatives are constructed and are proved to have the same limiting null distributions as some well-known tests. The maximum empirical likelihood estimates of the change-points and the epidemic duration are shown to be consistent. Data-based model tests are also provided. The method is applied to a stock market price data and the Nile river data. (c) 2006 Elsevier B.V. All rights reserved.
引用
收藏
页码：1748 / 1764
页数：17
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